本文關(guān)鍵詞： 金融風(fēng)險(xiǎn)管理 VaR 證券投資基金 GARCH模型　出處：《貴州財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：近年來(lái)，隨著我國(guó)金融市場(chǎng)的高速發(fā)展，證券投資基金以其專(zhuān)業(yè)化、規(guī)�；拖到y(tǒng)化的優(yōu)勢(shì)，逐步成為推動(dòng)我國(guó)證券市場(chǎng)發(fā)展的重要力量之一。因此，基金業(yè)如何健康有序的發(fā)展，成為近年來(lái)我國(guó)金融投資理論界和實(shí)務(wù)界關(guān)注的熱點(diǎn)問(wèn)題。借鑒國(guó)外基金業(yè)發(fā)展的歷史經(jīng)驗(yàn)，基金要實(shí)現(xiàn)長(zhǎng)期穩(wěn)定持續(xù)收益的目標(biāo)，風(fēng)險(xiǎn)管理水平是其中的決定性因素，而準(zhǔn)確辨識(shí)、測(cè)量金融風(fēng)險(xiǎn)已成為風(fēng)險(xiǎn)管理中的關(guān)鍵環(huán)節(jié)。VaR全稱(chēng)是“Value at Risk”，是一種近年來(lái)被國(guó)外大多數(shù)金融機(jī)構(gòu)采用衡量風(fēng)險(xiǎn)的新方法，它的含義是在一定的置信度條件下，某一金融資產(chǎn)或者證券組合在一定時(shí)間內(nèi)發(fā)生的最大損失。由于它直觀、規(guī)范、便于操作的特點(diǎn)得到了國(guó)際金融監(jiān)管的大力推廣。VaR作為一種新的風(fēng)險(xiǎn)管理標(biāo)準(zhǔn)最早在銀行機(jī)構(gòu)運(yùn)用較多，從目前的趨勢(shì)來(lái)看，除銀行外的金融機(jī)構(gòu)與非金融機(jī)構(gòu)等都在積極的將VaR技術(shù)納入其風(fēng)險(xiǎn)管理系統(tǒng)之中。本文在這一背景條件下，嘗試將VaR運(yùn)用于我國(guó)證券投資基金的風(fēng)險(xiǎn)度量和控制方面的研究。 為此，本文從金融風(fēng)險(xiǎn)管理的理論框架出發(fā)，以VaR原理的角度引出觀點(diǎn)：風(fēng)險(xiǎn)測(cè)量的效果是金融風(fēng)險(xiǎn)管理技術(shù)應(yīng)用的關(guān)鍵。梳理了投資基金的概念之后，對(duì)投資基金在國(guó)內(nèi)外發(fā)展的歷程進(jìn)行了回顧，從發(fā)展的角度來(lái)闡述風(fēng)險(xiǎn)管理系統(tǒng)在證券投資基金中的重要性。然后全面介紹VaR測(cè)量技術(shù)的原理和常用方法，在此基礎(chǔ)上提出用GARCH模型來(lái)提高VaR的測(cè)量精度。本文使用基金開(kāi)元的對(duì)數(shù)收益率數(shù)據(jù)作為樣本，進(jìn)行統(tǒng)計(jì)檢驗(yàn)后得出可以用GARCH（1，1）模型來(lái)擬合其收益率的波動(dòng)水平。為了比較不同分布假設(shè)下的GARCH-VaR方法測(cè)量的效果，將正態(tài)分布、Student-t分布和廣義誤差分布假設(shè)的GARCH模型用以預(yù)測(cè)樣本的日VaR。通過(guò)VaR的定義來(lái)計(jì)算結(jié)果，，并對(duì)實(shí)證結(jié)果進(jìn)行了返回測(cè)試，最后得出結(jié)論：VaR技術(shù)在我國(guó)證券投資基金風(fēng)險(xiǎn)管理中有一定的適用性和實(shí)用價(jià)值。
[Abstract]:In recent years, with the rapid development of China's financial market, securities investment fund with specialization, scale and systematic advantages, has gradually become an important force in promoting the development of China's securities market. Therefore, the fund industry to the healthy and orderly development, become a hot issue in recent years, the financial circles of our country and investment theory practice. Learn from the historical experience of foreign fund industry development fund, to achieve long-term stability, sustainable revenue target, the level of risk management is the decisive factor, and accurate identification, measurement of financial risk has become a key link in the risk management of the full name of.VaR is "Value at Risk", is a new method to measure the risk of using a in recent years by most foreign financial institution, it is the meaning of confidence in certain conditions, a financial asset or portfolio in a certain period of time the most by the loss. It is intuitive, standardized, easy operation by international financial supervision to promote the.VaR as a new risk management standards as early as more use of banking institutions, from the current trend, in addition to the bank's financial institutions and non financial institutions are actively applying VaR technology into its risk management system. Based on this background, try to research on risk measurement and control of VaR used in China's securities investment fund aspect.
涓烘,鏈枃浠庨噾铻嶉闄╃鐞嗙殑鐞嗚妗嗘灦鍑哄彂,浠aR鍘熺悊鐨勮搴﹀紩鍑?guó)櫑傜偣锛?xì)椋庨櫓嫻嬮噺鐨勬晥鏋滄槸閲戣瀺椋庨櫓綆＄悊鎶

本文編號(hào)：1497206